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Market timing effects on the investment performance of Asia-Pacific and European ADRs listed on the New York stock exchange

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  • Mark Schaub

Abstract

This study tests early and aftermarket returns of Asia-Pacific and European equities traded on the New York Stock Exchange as American Depository Receipts (ADRs) for a period of three years from the date of issue. The results provide evidence that the US markets overpriced on average the Asian ADRs for the entire sample period from January 1987 through September 2000. However, while the sample of Asia-Pacific equities issued from January 1987 through May 1998 underperformed the S&P 500 by almost 23%, the ADRs issued from May 1998 through September 2000 returned roughly the same as the S&P 500 for the three-year bear market holding period. These results may suggest timing of Asia-Pacific ADR issuance affects excess returns over the S&P 500 in the long run. On the other hand, the performance of the European ADR sample was roughly the same as the S&P 500 regardless of when issued.

Suggested Citation

  • Mark Schaub, 2004. "Market timing effects on the investment performance of Asia-Pacific and European ADRs listed on the New York stock exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 14(15), pages 1059-1066.
    • Handle: RePEc:taf:apfiec:v:14:y:2004:i:15:p:1059-1066
    DOI: 10.1080/09603100412331297658
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